Reza Najarzadeh; Bahram Sahabi; Sirous Solaymani
Volume 18, Issue 54 , April 2013, Pages 1-25
Abstract
In this study by using Markov Regime Heteroscedasticity method (MRSH) In the form of state-space model the relationship between inflation and uncertainty of inflation in Iranian economics is examined. The period of the study is the first quarter of 1367 to the third quarter of 1389. The reaction ...
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In this study by using Markov Regime Heteroscedasticity method (MRSH) In the form of state-space model the relationship between inflation and uncertainty of inflation in Iranian economics is examined. The period of the study is the first quarter of 1367 to the third quarter of 1389. The reaction between inflation and inflation uncertainty is dependent on whether the shocks are temporary or permanent. The MRSH model decomposes inflation to temporary and permanent and this makes the analysis of the relationship between inflation and inflation uncertainty possible in the long as well as short run. The results of the study show that increase in the long run uncertainty leads to increase in long run inflation and increase in short run inflation leads to decrease in short term inflation rate. Furthermore, simultaneous effects of increase in short run and long run inflation uncertainty leads to increase in Iran's inflation trend.
Behzad Alipour; Mehdi Pedram; Iman Charghanian
Volume 18, Issue 54 , April 2013, Pages 27-53
Abstract
We analyse short-run and long-run effects of government size on the economic growth of Iran ,using 1353-90 time series .the results of estimation , by using of ARDL and boundaries testing approach, indicate convergence of the dynamic model to the long-run trend. The error correction model also ...
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We analyse short-run and long-run effects of government size on the economic growth of Iran ,using 1353-90 time series .the results of estimation , by using of ARDL and boundaries testing approach, indicate convergence of the dynamic model to the long-run trend. The error correction model also show that 59 present of departure from the long-run trend will be corrected in every period. The long-run estimation shows a positive relation between oil price, oil revenues and ratio of investment to the real GDP as independent variables and economic growth as dependent variable, and a negative relation between government size and a dummy variable for war and revolution as independent variables and economic growth.
zahra dehghan shabani
Volume 18, Issue 54 , April 2013, Pages 55-92
Abstract
This research aims to analyze the effects of population density on industrial concentration and regional economic growth in the Iranian provinces. For this aim, this study is divided into theoretical and applied sectors. From theoretical point of views, the research has proposed a simple theoretical ...
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This research aims to analyze the effects of population density on industrial concentration and regional economic growth in the Iranian provinces. For this aim, this study is divided into theoretical and applied sectors. From theoretical point of views, the research has proposed a simple theoretical framework to study of the impacts of population density on industrial concentration and regional economic growth. In applied sector, we have specified econometric models and estimated them by using system dynamic panel-data for 28 provinces of Iran over the period 2000-2010. The empirical results of econometric models have shown that population density has a positive effect on industrial concentration and regional economic growth in the Iranian provinces.
Amir Khademalizadeh
Volume 18, Issue 54 , April 2013, Pages 93-118
Abstract
New generation of growth models considers the effects of financial development on economic growth. The new financial literature takes a micro approach with emphasis on the external finance. In this research we examine the empirical relationship between capital market and economic growth, encompassing ...
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New generation of growth models considers the effects of financial development on economic growth. The new financial literature takes a micro approach with emphasis on the external finance. In this research we examine the empirical relationship between capital market and economic growth, encompassing 27 superior firms of Tehran Stock Exchange during 1380-1390, which may being considered as a financial investigation in Iran’s Capital Market at the firm level.
This paper is organized to examine the hypothesis that the external finance increases the sales and output growth rate of firms in Tehran Exchange, and therefore the aggregate economic growth. The results obtained in this paper through generalized method of moments (GMM) analysis indicate that financing both banks and capital market respectively, has increased sales and growth rate to 65.3 and 53.8 in our sample. Furthermore the sales growth rate of 27 firms that used external finance has a positive and significant relation with net sales ratio to fixed assets which indicate the positive role of capital market on economic growth in Iran. The Policy recommendation of this research is developing the capital market through definition and introduction of new financial instruments in order to absorb liquidity for efficient firms in Iran’s Capital Market.
mirhossein mousavi; Hossein Raghfar; Mansooreh Mohseni
Volume 18, Issue 54 , April 2013, Pages 119-152
Abstract
The traditional approaches for estimating VAR assume that the joint distribution is well-known and the most commonly used normality of the joint distribution of the assets return. In reality, the financial asset return distribution has fatter tails than normal distributions. On the other hand, the use ...
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The traditional approaches for estimating VAR assume that the joint distribution is well-known and the most commonly used normality of the joint distribution of the assets return. In reality, the financial asset return distribution has fatter tails than normal distributions. On the other hand, the use of linear correlation to model the dependence structure shows many disadvantages. Therefore, the problem raised from normality could lead to an inadequate VaR estimate. In order to overcome these problems, this paper resorts to the copula theory which allows the joint distribution of the portfolio to be free from any normality and linear correlation. Combining copula and the forecast function of the GARCH model, this paper proposes a new method, called conditional copula-GARCH, to compute the VaR of portfolios. Examined data in this study includes daily price of selected portfolio, composed of 17 equities for 1082 days in Tehran stock exchange. Presented model compared with traditional methods (including the historical simulation method & variance_covariance method). the results show that conditional copula-GARCH model captures the VaR more successfully at 95% confidence.
Fatemeh Kalantar Mahjerdi; Shahnaz Nayebzadeh; Mahmood Moeinoddin
Volume 18, Issue 54 , April 2013, Pages 153-180
Abstract
The aim of this study was to evaluate productivity and efficiency of intellectual capital of companies listed in Tehran Stock Exchange through Data Envelopment Analysis approach and Malm-quist productivity index. In this study, the automotive industry and component manufacturers listed in Tehran Stock ...
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The aim of this study was to evaluate productivity and efficiency of intellectual capital of companies listed in Tehran Stock Exchange through Data Envelopment Analysis approach and Malm-quist productivity index. In this study, the automotive industry and component manufacturers listed in Tehran Stock Exchange were chosen as pilot, and intellectual capital (human, physical, and structural capital) index was used as input index; stock return, return on assets, and return on equity were utilized as output variables for fifteen companies of this industry between 2006 and 2010. Results from the efficiency of intellectual capital indicated that throughout the years of assessment in this study, it was only a -brake- pad company that had the best performance among the selected companies; this was due to the fact that this company had been able to gain the maximum performance of intellectual capital in the assessed years. Results from the productivity of intellectual capital indicated that in the years between 2006 and 2010, except Saipa, Bahman Group, Zamyad which had a value smaller than 1 for the average productivity rate of their intellectual capital in the investigated growth range, this value was positive for the rest of the selected companies.
Allah Morad Seif; Musa Khoshkalam Khosroshahi
Volume 18, Issue 54 , April 2013, Pages 181-204
Abstract
Resistance economy is a new concept that has been introduced with escalating U.S.-West sanctions against Iran's economy. In other words resistance economy is a set of management methods for minimizing the vulnerability of the economy to numerous external and internal risks. One of the sectors of the ...
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Resistance economy is a new concept that has been introduced with escalating U.S.-West sanctions against Iran's economy. In other words resistance economy is a set of management methods for minimizing the vulnerability of the economy to numerous external and internal risks. One of the sectors of the Iran's economy that has always been vulnerable to risk is the exchange market. This paper considering the vulnerability of exchange system attempts to introduce optimal exchange system for Iran's economy by presenting and estimating models for the study of the pathology of the currency exchange system. We could argue that there is no real exchange market in Iran's economy, because there is not a micro based supply and demand factors in the exchange market. Based on our findings, the following measures are recommended: implementing economic policies to diversify exports of goods and services, reforming institutional structures and the technology of productive sectors, increasing efficiency of production factors, especially labor productivity, enhancing the competitiveness of goods and services produced in the Iran's economy and finally diversifying sources of exchange supply from oil and related products and non-oil. Following the formation of exchange system, this paper proposes a managed floating exchange system as optimal exchange system for Iran's economy.
